MCHdiag function

Multivariate Conditional Heteroscedastic Model Checking

Apply four portmanteau test statistics to check the validity of a fitted multivariate volatility model

MCHdiag(at, Sigma.t, m = 10)

Arguments

• at: A T-by-k matrix of residuals for a k-dimensional asset return series
• Sigma.t: The fitted volatility matrices. The dimension is T-by-k^2 matrix
• m: The number of lags used in the tests. Default is 10.

Details

The four test statistics are given in Tsay (2014, Chapter 7)

Returns

Four test statistics and their p-values

References

Tsay (2014, Chapter 7). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay